Paper Title
Stock Liquidity, Real Earning Management, and Future Stock Returns

Abstract
We examine the relationship among stock liquidity, real earning management, and future stock return on each firm from 1998 to 2016. We find that stock liquidity does affect the real earning management decisions of Chinese firms over the sample period 1998-2015, and even robust after controlling for firm-specific factors. Overall, our evidence suggests that stock liquidity helps explain firms’ managerial short-termism decisions. Finally, our findings show that the fitted portion of real earning management associated with stock liquidity negatively and significantly to explain future stock return of Chinese firms over the sample period 1999-2016, and it suggest that stock liquidity plays an important role for predict future stock returns. Keywords: Stock liquidity, Real earnings management, Information asymmetry, Predict future stock returns JEL classification: G10, G30, G40